Jeremy Wien: Utilizing the VIX Index

Jeremy Wien is truly a wellspring of practical VIX information! I posted earlier about his research here and here. Two months ago he made a presentation (with Jason Hedberg) at the CBOE Risk Management Conference, titled Utilizing the VIX Index. Here is the direct link to the presentation, below are the main points:

• VIX at 16 is low compared to its historical levels, but high relative to SPX vol, and vol of vol premium
• For short vol use 1:3 put spread
• For long vol use actively managed 1:2 call spread

Link to the conference webpage.

More VIX stuff from Jeremy Wien

I already wrote here about 2 most excellent presentations Jeremy Wien did on the VIX, but earlier today I found (googling) another article that I have never read before where he gives rules for trading VIX and VIX options.

1. There's a lot of "air" once we move out of the perceived range of the VIX
2. The rules of market liquidity in crises apply to VIX ten-fold
3. Never sell a VIX call below .25 unless it is protected by something
4. You must manage your VIX positions at least semi-actively (even/especially the ones that are in place as hedges)
5. For true CRASH protection, there is not a better product to own than a low-delta VIX call

While not as detailed as his other 2 articles, there is a lot of helpful advice. Enjoy!